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In small mixing bowl using a fork or whisk, beat the egg. Whisk in the milk and Worcestershire sauce. Stir in the bread crumbs and Traeger Cajun Rub and let the mixture sit for 5 minutes.
In another bowl, combine the ground beef, onion, garlic, and black pepper. Add the egg mixture to the meat mixture and combine well.
If the mixture seems dry, add a bit more milk. If wet, add a few dry breadcrumbs. Roll the mixture into balls about the size of golf balls.
When ready to cook, start the Traeger grill on Smoke with the lid open until the fire is established (4 to 5 minutes). Set the temperature to 325 degrees F and preheat, lid closed, for 10 to 15 minutes.
Arrange the meatballs directly on the grill grate. Bake for 30 - 35 minutes, or until the meatballs are cooked through.
In the meantime, heat the jarred marinara in a pan on the stovetop. Transfer the cooked meatballs to the pan and let them simmer for 5 to 10 minutes.
Tear off four sheets of aluminum foil and lay them on your work surface. Put a hoagie roll in the center of each. Divide the meatballs among the rolls.
Top the meatballs with provolone cheese. Wrap the sandwiches tightly in the foil and return to the grill to heat, 10 to 12 minutes.